Alexandra Palace has its own British Rail Station, fittingly called Alexandra Palace Station. It is located at the Wood Green entrance to the Park. A regular train service runs direct from Moorgate (weekdays only) or from Kings Cross, changing at Finsbury Park.
Please note that the last tube from Wood Green Station leaves around midnight and the last train from Alexandra Palace Station leaves around Midnight. It is worth checking the last train times for your event date at www.tfl.gov.uk